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Conditions for the existence of control functions in nonseparable simultaneous equations models

Blundell, Richard W.; Matzkin, Rosa L. - 2010

The control function approach (Heckman and Robb (1985)) in a system of linear simultaneous equations provides a convenient procedure to estimate one of the functions in the system using reduced form residuals from the other functions as additional regressors. The conditions on the structural...

Persistent link: https://www.econbiz.de/10008660594

Interdependent durations in joint retirement

Honoré, Bo E.; Paula, Áureo de - 2014 - This version: February 2014

This paper introduces a bivariate version of the generalized accelerated failure time model. It allows for simultaneity in the econometric sense that the two realized outcomes depend structurally on each other. The proposed model also has the feasure that it will generate equal durations with...

Persistent link: https://www.econbiz.de/10010254535

Posterior inference in curved exponential families under increasing dimensions

Belloni, Alexandre; Chernozhukov, Victor - 2013

This work studies the large sample properties of the posteriorbased inference in the curved exponential family under increasing dimension. The curved structure arises from the imposition of various restrictions on the model, such as moment restrictions, and plays a fundamental role in...

Persistent link: https://www.econbiz.de/10010226471

Posterior inference in curved exponential families under increasing dimensions

Belloni, Alexandre; Chernozhukov, Victor - 2013

This work studies the large sample properties of the posterior-based inference in the curved exponential family under increasing dimension. The curved structure arises from the imposition of various restrictions on the model, such as moment restrictions, and plays a fundamental role in...

Persistent link: https://www.econbiz.de/10010227492

Interdependent durations in joint retirement

Honoré, Bo E.; Paula, Áureo de - 2013

In this paper we specify and use a new duration model to study joint retirement in married couples using the Health and Retirement Study. Whereas conventionally used models cannot account for joint retirement, our model admits joint retirement with positive probability, allows for simultaneity...

Persistent link: https://www.econbiz.de/10009715124

A new model for interdependent durations with an application to joint retirement

Honoré, Bo E.; Paula, Áureo de - 2016 - This version: February 2016

This paper introduces a bivariate version of the generalized accelerated failure time model. It allows for simultaneity in the econometric sense that the two realized outcomes depend structurally on each other. Another feature of the proposed model is that it will generate equal durations with...

Persistent link: https://www.econbiz.de/10011429485

An econometric perspective on algorithmic subsampling

Lee, Sokbae; Ng, Serena - 2020

Datasets that are terabytes in size are increasingly common, but computer bottlenecks often frustrate a complete analysis of the data. While more data are better than less, diminishing returns suggest that we may not need terabytes of data to estimate a parameter or test a hypothesis. But which...

Persistent link: https://www.econbiz.de/10012216998

A contribution to the Reinhart and Rogoff debate: not 90 percent but maybe 30 percent

Lee, Sokbae; Park, Hyunmin; Seo, Myung Hwan; Shin, Youngki - 2014

median real GDP growth falls abruptly. Our work is the first to formally test for threshold effects in the relationship … between public debt and median real GDP growth. The null hypothesis of no threshold effect is rejected at the 5 percent … threshold for economic growth may exist around a relatively small debt-to-GDP ratio of 30 percent. Empirical results are more …

Persistent link: https://www.econbiz.de/10010403485

Identification of treatment effects under limited exogenous variation

Newey, Whitney K.; Stouli, Sami - 2025 - Date: January 24, 2025

Multidimensional heterogeneity and endogeneity are important features of a wide class of econometric models. With control variables to correct for endogeneity, nonparametric identification of treatment effects requires strong support conditions. To alleviate this requirement, we consider varying...

Persistent link: https://www.econbiz.de/10015191459

Policy choice in time series by empirical welfare maximization

Kitagawa, Toru; Wang, Weining; Xu, Mengshan - 2024

This paper develops a novel method for policy choice in a dynamic setting where the available data is a multi-variate time series. Building on the statistical treatment choice framework, we propose Time-series Empirical Welfare Maximization (T-EWM) methods to estimate an optimal policy rule by...

Persistent link: https://www.econbiz.de/10015168545

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